On the Calibration of the Libor Market Model

On the Calibration of the Libor Market Model

This thesis presents a study of LIBOR market model calibration. In particular, the study builds on the prevailing calibration methodologies in an attempt to find a method that simultaneously recovers implied volatility and forward rate correlations structures from market prices of plain vanilla opti...

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書目詳細資料
主要作者:	DEMELINDA, U Lagunzad
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2007
主題:	Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	https://ink.library.smu.edu.sg/etd_coll/33 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1032&context=etd_coll
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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